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Post-LIBOR Settle Update, Sep'22 Expiration Details

US EURODLR FUTURES
Soon to expire Sep'22 lead quarterly futures (EDU2) moves off 96.62 high to 96.6125 (+0.020) after latest 3M LIBOR set' climbs +0.02243 to 3.29257% highest level since late October 2008.
  • Balance of Whites (EDZ2-EDM3) +0.015-0.035, Reds through Golds (EDU3-EDM7) +0.050-0.060.
  • Current inversion pricing: Mar'23/Jun'23 -0.070; EDZ2/EDZ3 at -0.390, EDH3/EDH4 at -0.595. Inversion flattens out with Blue Sep'25/Dec'25 both trading 96.815.
  • The CME Group confirmed yesterday the EDU2 futures final settle (early Monday, Sep 19) will be based on the 3M USD Libor fix published this Friday, Sep 16 due to UK bank closure for the Queen's funeral Monday Sep 19.
  • The CME will follow Chapter 452 of our rulebook in relation to Eurodollar futures, specifically “the final settlement price of an expiring contract shall be 100.0000 minus the three-month U.S. dollar ICE LIBOR wholesale funding rate (“rate”) for the second London bank business day immediately preceding the third Wednesday of the contract’s named month of delivery.”

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